Geodesic
A zero-inflated geometric INAR(1) process with random coefficient
Applications of Mathematics, Tome 63 (2018) no. 1, pp. 79-105 Cet article a éte moissonné depuis la source Czech Digital Mathematics Library

Voir la notice de l'article

Many real-life count data are frequently characterized by overdispersion, excess zeros and autocorrelation. Zero-inflated count time series models can provide a powerful procedure to model this type of data. In this paper, we introduce a new stationary first-order integer-valued autoregressive process with random coefficient and zero-inflated geometric marginal distribution, named ZIGINAR$_{\rm RC}(1)$ process, which contains some sub-models as special cases. Several properties of the process are established. Estimators of the model parameters are obtained and their performance is checked by a small Monte Carlo simulation. Also, the behavior of the inflation parameter of the model is justified. We investigate an application of the process using a real count climate data set with excessive zeros for the number of tornados deaths and illustrate the best performance of the proposed process as compared with a set of competitive INAR(1) models via some goodness-of-fit statistics. Consequently, forecasting for the data is discussed with estimation of the transition probability and expected run length at state zero. Moreover, for the considered data, a test of the random coefficient for the proposed process is investigated.
Many real-life count data are frequently characterized by overdispersion, excess zeros and autocorrelation. Zero-inflated count time series models can provide a powerful procedure to model this type of data. In this paper, we introduce a new stationary first-order integer-valued autoregressive process with random coefficient and zero-inflated geometric marginal distribution, named ZIGINAR$_{\rm RC}(1)$ process, which contains some sub-models as special cases. Several properties of the process are established. Estimators of the model parameters are obtained and their performance is checked by a small Monte Carlo simulation. Also, the behavior of the inflation parameter of the model is justified. We investigate an application of the process using a real count climate data set with excessive zeros for the number of tornados deaths and illustrate the best performance of the proposed process as compared with a set of competitive INAR(1) models via some goodness-of-fit statistics. Consequently, forecasting for the data is discussed with estimation of the transition probability and expected run length at state zero. Moreover, for the considered data, a test of the random coefficient for the proposed process is investigated.
DOI : 10.21136/AM.2018.0082-17
Classification : 62M10
Keywords: randomized binomial thinning; geometric minima; estimation; likelihood ratio test; mixture distribution; realization with random size 
@article{10_21136_AM_2018_0082_17,
     author = {Bakouch, Hassan S. and Mohammadpour, Mehrnaz and Shirozhan, Masumeh},
     title = {A zero-inflated geometric {INAR(1)} process with random coefficient},
     journal = {Applications of Mathematics},
     pages = {79--105},
     year = {2018},
     volume = {63},
     number = {1},
     doi = {10.21136/AM.2018.0082-17},
     mrnumber = {3763983},
     zbl = {06861543},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.21136/AM.2018.0082-17/}
}
TY  - JOUR
AU  - Bakouch, Hassan S.
AU  - Mohammadpour, Mehrnaz
AU  - Shirozhan, Masumeh
TI  - A zero-inflated geometric INAR(1) process with random coefficient
JO  - Applications of Mathematics
PY  - 2018
SP  - 79
EP  - 105
VL  - 63
IS  - 1
UR  - http://geodesic.mathdoc.fr/articles/10.21136/AM.2018.0082-17/
DO  - 10.21136/AM.2018.0082-17
LA  - en
ID  - 10_21136_AM_2018_0082_17
ER  - 
%0 Journal Article
%A Bakouch, Hassan S.
%A Mohammadpour, Mehrnaz
%A Shirozhan, Masumeh
%T A zero-inflated geometric INAR(1) process with random coefficient
%J Applications of Mathematics
%D 2018
%P 79-105
%V 63
%N 1
%U http://geodesic.mathdoc.fr/articles/10.21136/AM.2018.0082-17/
%R 10.21136/AM.2018.0082-17
%G en
%F 10_21136_AM_2018_0082_17
Bakouch, Hassan S.; Mohammadpour, Mehrnaz; Shirozhan, Masumeh. A zero-inflated geometric INAR(1) process with random coefficient. Applications of Mathematics, Tome 63 (2018) no. 1, pp. 79-105. doi: 10.21136/AM.2018.0082-17

Cité par Sources :